Subadditivity of Matrix phi-Entropy and Concentration of Random Matrices
Information Theory
2014-04-29 v1 math.IT
Probability
Abstract
Matrix concentration inequalities provide a direct way to bound the typical spectral norm of a random matrix. The methods for establishing these results often parallel classical arguments, such as the Laplace transform method. This work develops a matrix extension of the entropy method, and it applies these ideas to obtain some matrix concentration inequalities.
Keywords
Cite
@article{arxiv.1308.2952,
title = {Subadditivity of Matrix phi-Entropy and Concentration of Random Matrices},
author = {Joel A. Tropp and Richard Y. Chen},
journal= {arXiv preprint arXiv:1308.2952},
year = {2014}
}
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23 pages